IDEAS home Printed from https://ideas.repec.org/p/ecm/ausm04/268.html
   My bibliography  Save this paper

Seasonality, Cycles and Unit Roots

Author

Listed:
  • Mickael Salabasis
  • Sune Karlsson

Abstract

Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the standard route via the autoregressive coefficients. Allowing for unknown lag lengths and adopting a Bayesian approach we obtain posterior probabilities for the presence of these features in the data as well as the usual posteriors for the parameters of the model

Suggested Citation

  • Mickael Salabasis & Sune Karlsson, 2004. "Seasonality, Cycles and Unit Roots," Econometric Society 2004 Australasian Meetings 268, Econometric Society.
    • Handle: RePEc:ecm:ausm04:268
    as

    Download full text from publisher

    File URL: http://repec.org/esAUSM04/up.21757.1077876592.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Schotman, Peter C., 1994. "Priors For The Ar(1) Model: Parameterization Issues and Time Series Considerations," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 579-595, August.
    2. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
    3. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June.
    4. Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990. "Seasonal integration and cointegration," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 215-238.
    5. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.
    6. Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997. "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, vol. 78(2), pages 359-380, June.
    7. G. Huerta & M. West, 1999. "Priors and component structures in autoregressive time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 881-899.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2007. "A simple, robust and powerful test of the trend hypothesis," Journal of Econometrics, Elsevier, vol. 141(2), pages 1302-1330, December.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Marriott, John & Newbold, Paul, 2000. "The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective," Journal of Econometrics, Elsevier, vol. 98(1), pages 1-25, September.
    2. Koop, Gary & Dijk, Herman K. Van, 2000. "Testing for integration using evolving trend and seasonals models: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 97(2), pages 261-291, August.
    3. Luca Benati, 2003. "Evolving Post-World War II U.K. Economic Performance," Computing in Economics and Finance 2003 171, Society for Computational Economics.
    4. Alexander Vosseler & Enzo Weber, 2017. "Bayesian analysis of periodic unit roots in the presence of a break," Applied Economics, Taylor & Francis Journals, vol. 49(38), pages 3841-3862, August.
    5. Chaturvedi, Anoop & Kumar, Jitendra, 2005. "Bayesian unit root test for model with maintained trend," Statistics & Probability Letters, Elsevier, vol. 74(2), pages 109-115, September.
    6. Magris Martin & Iosifidis Alexandros, 2021. "Approximate Bayes factors for unit root testing," Papers 2102.10048, arXiv.org, revised Feb 2021.
    7. Loukia Meligkotsidou & Elias Tzavalis & Ioannis D. Vrontos, 2004. "A Bayesian Analysis of Unit Roots and Structural Breaks in the Level and the Error Variance of Autoregressive Models," Working Papers 514, Queen Mary University of London, School of Economics and Finance.
    8. Peter C. B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
    9. Carmine Pappalardo & Gianfranco Piras, 2004. "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers 42, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).
    10. Donald W.K. Andrews & Hong-Yuan Chen, 1992. "Approximately Median-Unbiased Estimation of Autoregressive Models with Applications to U.S. Macroeconomic and Financial Time Series," Cowles Foundation Discussion Papers 1026, Cowles Foundation for Research in Economics, Yale University.
    11. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
    12. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
    13. Swanson, Norman R. & Urbach, Richard, 2015. "Prediction and simulation using simple models characterized by nonstationarity and seasonality," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 312-323.
    14. Franses, Philip Hans & Hoek, Henk & Paap, Richard, 1997. "Bayesian analysis of seasonal unit roots and seasonal mean shifts," Journal of Econometrics, Elsevier, vol. 78(2), pages 359-380, June.
    15. Artur C. B. da Silva Lopes & Antonio Montanes, 2005. "The Behavior Of Hegy Tests For Quarterly Time Series With Seasonal Mean Shifts," Econometric Reviews, Taylor & Francis Journals, vol. 24(1), pages 83-108.
    16. Kunst, Robert M., 1997. "Decision Bounds for Data-Admissible Seasonal Models," Economics Series 51, Institute for Advanced Studies.
    17. Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
    18. Paap, Richard & Franses, Philip Hans & Hoek, Henk, 1997. "Mean shifts, unit roots and forecasting seasonal time series," International Journal of Forecasting, Elsevier, vol. 13(3), pages 357-368, September.
    19. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
    20. Charley Xia and William Griffiths, 2012. "Bayesian Unit Root Testing: The Effect Of Choice Of Prior On Test Outcomes," Department of Economics - Working Papers Series 1152, The University of Melbourne.

    More about this item

    Keywords

    Bayesian model averaging; autoregressive models;

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ecm:ausm04:268. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/essssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.